DBRS Morningstar Confirms Credit Rating on NCL Business Loan Trust 2022-1

DBRS, Inc. (DBRS Morningstar) confirmed the credit rating on one security issued by NCL Business Loan Trust 2022-1:

-- Series 2022-1, Class A Notes at A (sf)

The confirmation is based on the following analytical considerations:
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update,” published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

-- Credit enhancement is in the form of overcollateralization, a reserve account, subordination, and excess spread. Credit enhancement levels are sufficient to cover DBRS Morningstar-expected losses at their current respective rating levels.

-- Credit quality of the collateral pool and historical performance, and the ability of the transaction to perform within DBRS Morningstar’s base-case assumptions.

-- The transaction parties’ capabilities with regard to originating, underwriting, and servicing.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (October 22, 2023); https://www.dbrsmorningstar.com/research/422279.

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023)
https://www.dbrsmorningstar.com/research/417415

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023)
https://www.dbrsmorningstar.com/research/417416

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/425081

Rating U.S. Structured Finance Transactions (October 30 2023)
https://www.dbrsmorningstar.com/research/422592

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.